Money is never smart ex-ante, it is only such in hindsight (ie, ex-post). So this formulation is ~non-sensical. But to answer your question, the 'winning' strategy shifts from (measuring) "value" to (playing) "momentum".[1] This is not "dumb", but neither is it inconsequential from the perspective of political economy. Until you are in a position to explain this micro-analytically, you are left with vol expansion, which is arguably transparent and/or benign.[2,3]
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[1] NB: information assymetries. By introducing and/or leveraging them, zero sum games can be more profitable than "fair games".
[2] http://en.wikipedia.org/wiki/HeteroscedasticityHeteroscedasticity does not cause...estimates to be biased, although it can cause...estimates of the variance (and, thus, standard errors) of the coefficients to be biased, possibly above or below the true or population variance. Thus, regression analysis using heteroscedastic data will still provide an <unbiased estimate> for the relationship between the predictor variable and the outcome, but standard errors and therefore inferences obtained from data analysis are suspect.
The maintenance of <unbiased estimate> preserves EMH.
[3] The arguments here are not trivial. But they are beyond the scope of many (if not most) professional "economists".
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[1] NB: information assymetries. By introducing and/or leveraging them, zero sum games can be more profitable than "fair games".
[2] http://en.wikipedia.org/wiki/Heteroscedasticity Heteroscedasticity does not cause...estimates to be biased, although it can cause...estimates of the variance (and, thus, standard errors) of the coefficients to be biased, possibly above or below the true or population variance. Thus, regression analysis using heteroscedastic data will still provide an <unbiased estimate> for the relationship between the predictor variable and the outcome, but standard errors and therefore inferences obtained from data analysis are suspect.
The maintenance of <unbiased estimate> preserves EMH.
[3] The arguments here are not trivial. But they are beyond the scope of many (if not most) professional "economists".